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math.PR2025
Conditional Expectation Backward Stochastic Differential Equations and Related Backward Stochastic Differential Equations with Conditional Reflection
Hanwu Li
In this paper, we introduce a new type of backward stochastic differential equations (BSDEs), called conditional expectation BSDEs, whose drivers depend not only on the value of th…
math.PR2025
Backward Stochastic Differential Equations with Nonlinear Expectation Reflection
Hanwu Li
In this paper, we study a kind of constrained backward stochastic differential equations (BSDEs) such that the nonlinear expectation of the composition of a loss function and the s…